• CME ClearPort API Notices: March 20, 2018

      • To
      • CME ClearPort API Customers
      • From
      • Global Market Solutions and Services
      • #
      • 20180320api
      • Notice Date
      • 20 March 2018
    • Topics in this issue include:

      CDS Trade Summary Report to be Retired

      Effective end of day Friday, March 23, in alignment with the CDS wind-up, the CDS Trade Summary Report will be retired in Production and New Release.

      Update - Price Precision Extension

      † Denotes update to the article

      In the †Q4 2018, CME ClearPort API will support an increase to the maximum price precision from seven to nine decimal places to provide greater price granularity for future launches.

      Also in Q4 2018, the first application of this new price format functionality, pending regulatory approval, will implemented be for 2-Year Treasury Note  Futures, Future Spreads and inter-commodity spreads, with a price precision of eight decimal places.

      The attributes listed below will be impacted.

      For more on impacted products and CME Globex, iLink messaging, Drop Copy and Market Data impacts, view the CME Globex Client Impact Assessment.

      Trade Capture Reports and Acknowledgements

      Price will be impacted at the Trade Capture Report and Trade Instrument Leg Group levels.

      Level Field Name FIXML Attribute Name
      /TrdCaptRpt - inbound Trade Price LastPx
      /TrdCaptRpt/TrdLeg - inbound Leg Last Price LastPx
      /TrdCaptRptAck - outbound Trade Price LastPx
      /TrdCaptRptAck/TrdLeg - outbound Leg Last Price LastPx
      /TrdCaptRpt - outbound Trade Price LastPx
      /TrdCaptRpt/TrdLeg - outbound Leg Last Price LastPx

      Reference Data

      Level Field Name FIXML Attribute Name
      /SecDef/Instrmt MinPriceIncrement MinPxIncr
      /DerivSecList/DerivSecDef/DerivInstrmt MinPriceIncrement MinPxIncr

      These enhancements will be available for customer testing in New Release in the † Q2 2018.